This report is meant to help investors gauge the potential impact of Hurricane Michael to their MPL portfolios in a similar manner to the report we put out following Hurricane Florence. The report summarizes data across seven categories: outstanding loans affected, delinquency status, FICO score, loan age, loan coupon rate, home ownership, and loan payment to income ratio.
Following Hurricane Michael, FEMA has designated 12 counties in Florida and 6 counties in Georgia as eligible for individual assistance. Using data from almost 2 million loans across four of the largest MPL platforms, with an aggregate current balance of more than $15 billion, we have been able to quantify the number of loans in the impacted region. Fortunately, only 0.2% of the principal balance outstanding is affected (Fig 1), significantly less than the population affected by Hurricanes Harvey and Irma in 2017 (9.1%) as well as Florence in 2018 (0.4%).
Most investors can probably rest easy knowing exposure is minimal, and those that want to dig deeper can take comfort in the fact that the profile of affected borrowers is not skewed significantly towards an at-risk demographic. The FICO distributions of impacted and non-impacted borrowers are quite similar (Fig 2), and although it looks like the impacted borrowers have a higher PTI on average (Fig 3), there is less tail risk in the distribution. Furthermore, the 30+ delinquency rate for impacted loans is 11bps lower than the rest of the population (Fig 4).
Jonathan Braus Principal Credit Analyst
Scott Chen Data Analyst, Infrastructure
Ben Carlsen Data Quality Assurance Engineer
Lindsey Boyer Product Designer